Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo

Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo

Este artículo analiza datos de precios históricos de Bitcoin junto con los de una burbuja histórica reconocida y generalmente aceptada (Burbuja de los Mares del Sur de 1720) con el objeto de identificar posibles similitudes. Para encontrar evidencia empírica de tendencias de burbuja especulativa, este artículo analiza los momentos de la distribución y modelos autorregresivos de series de tiempo de ambos activos. Los resultados muestran que los precios diarios históricos de ambos activos, considerando un año antes y después del precio máximo, muestran claramente las fases de expansión de una burbuja y el consecuente colapso. Asimismo, los dos activos muestran varias similitudes en la estadística descriptiva de sus retornos incluyendo la medi... Ver más

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Revista Finanzas y Política Económica

2248-6046

2011-7663

Demmler, Michael

Fernández Domínguez, Amilcar Orlian

UNIVERSIDAD CATÓLICA DE COLOMBIA

10.14718/revfinanzpolitecon.v13.n1.2021.9

13

2020-01-01

197

224

Colombia

Bitcoin

Modelo autorregresivo

Riesgo financiero

Burbuja de precio de activo

Criptomoneda

http://purl.org/coar/access_right/c_abf2

info:eu-repo/semantics/openAccess

Michael Demmler, Amilcar Orlian Fernández Domínguez - 2021

id ce4f80b1320ac44320fe79baf7c62acb
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spelling Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
Bitcoin
Revista Finanzas y Política Económica
Universidad Católica de Colombia
1
13
Modelo autorregresivo
Riesgo financiero
Burbuja de precio de activo
Criptomoneda
Artículo de revista
Demmler, Michael
Fernández Domínguez, Amilcar Orlian
Este artículo analiza datos de precios históricos de Bitcoin junto con los de una burbuja histórica reconocida y generalmente aceptada (Burbuja de los Mares del Sur de 1720) con el objeto de identificar posibles similitudes. Para encontrar evidencia empírica de tendencias de burbuja especulativa, este artículo analiza los momentos de la distribución y modelos autorregresivos de series de tiempo de ambos activos. Los resultados muestran que los precios diarios históricos de ambos activos, considerando un año antes y después del precio máximo, muestran claramente las fases de expansión de una burbuja y el consecuente colapso. Asimismo, los dos activos muestran varias similitudes en la estadística descriptiva de sus retornos incluyendo la media, desviación estándar y el sesgo. Otras pruebas estadísticas muestran varios momentos de explosión en las series de tiempo de los retornos de ambos activos, lo que implica que estos exhibieron más de una burbuja financiera.
De Filippi, P. (2014). Bitcoin: a regulatory nightmare to a libertarian dream. Internet Policy Review, 3(2), Retrieved from: https://policyreview.info/articles/analysis/bitcoin-regulatory-nightmare-libertarian-dream
Fama, E. (1991). Efficient capital markets: II. Journal of Finance, 46(5), 1575-1617.
Garcia, D., Tessone C. J., Mavrodiev, P., & Perony, N. (2014). The digital traces of bubbles: feedback cycles between socioeconomic signals in the Bitcoin economy. Journal of the Royal Society – Interface, 11, 1-8.
Garber, P. M. (1990). Famous first bubbles. Journal of Economic Perspectives, 4(2), 35-54.
Garber, P. M. (1989). Tulipmania. Journal of Political Economy, 98(3), 535-560.
Fry, J., & Cheah, J. E. T. (2016). Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis, 47(C), 343-352. https://doi.org/10.1016/j.irfa.2016.02.008
Fry, J. (2018). Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? Economics Letters, 171(C), 225-229. https://doi.org/10.1016/j.econlet.2018.08.008
Froot, K. A., & Obstfeld, M. (1991). Intrinsic Bubbles – The Case of Stock Prices. American Economic Review, 81(5), 1189-1214.
Frehen, R., Goetzmann, W., & Rouwenhorst, G. (2009). New evidence on the first financial bubble. Journal of Financial Economics, 108(3), 585-607. https://doi.org/10.1016/j.jfineco.2012.12.008
Chen, C. Y., & Hafner, C. M. (2019). Sentiment-Induced Bubbles in the Cryptocurrency Market. Journal of Risk and Financial Management, 12(2), 1-12. https://doi.org/10.3390/jrfm12020053
European State Finance Database (2020). [Graph of stock prices reported by John Castaing, the course of the exchange, from January 1698 to December 1753]. John Castaing’s Course of exchange. http://www.esfdb.org/table.aspx?resourceid=11347
Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417.
Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35, 101607. https://doi.org/10.1016/j.frl.2020.101607
European Parliament (2016). Report on virtual currencies 2016/2007(INI). http://www.europarl.europa.eu/doceo/document/A-8-2016-0168_EN.pdf
Eom, C. Kaizoji, T., Kang, S., & Pichl, L. (2019). Bitcoin and investor sentiment: Statistical characteristics and predictability. Physica A: Statistical Mechanics and its Applications, 514(15), 511-521. https://doi.org/10.1016/j.physa.2018.09.063
Dwyer, G. (2015). The economics of Bitcoin and similar private digital currencies. Journal of Financial Stability, 17, 81-91. https://doi.org/10.1016/j.jfs.2014.11.006
Demmler, M. (2017). Irrationality of asset price bubbles – human decision-making in the course of financial bubbles. México: Pearson Educación.
Godsiff, P. (2015). Bitcoin: Bubble or Blockchain. In G. Jezic, R. Howlett, & L. Jain (eds), Agent and Multi-Agent Systems: Technologies and Applications. Smart Innovation, Systems and Technologies (pp. 191-203), vol 38. Springer, Cham.
CoinDesk (2020a). Bitcoin (USD) Price. https://www.coindesk.com/price/bitcoin
CoinDesk (2020b). CoinDesk API. https://www.coindesk.com/coindesk-api
CoinMarketCap (2020). Top 100 Cryptocurrencies by Market Capitalization. https://coinmarketcap.com/
Geuder, J., Kinateder, H., & Wagner, N. F. (2019). Cryptocurrencies as financial bubbles: The case of Bitcoin. Finance Research Letters, 31(C). https://doi.org/10.1016/j.frl.2018.11.011
Phillips, R. C., & Gorse, D. (2018b). Predicting cryptocurrency price bubbles using social media data and epidemic modelling. In Proceedings of the 2017 IEEE Symposium Series on Computational Intelligence (SSCI). (pp. 394-400). IEEE: Honolulu, HI, USA.
Grinberg, R. (2011). Bitcoin: An innovative alternative digital currency. Hastings Science and Technology Law Journal, 4, 159-208.
Weidmann, J. (2018, February 14). Opening speech for the Fourth Cash Symposium of the Deutsche Bundesbank, Frankfurt am Main. https://www.bundesbank.de/en/press/speeches/opening-speech-667594#tar-2
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Sornette, D., & Andersen, J. V. (2002). A nonlinear super-exponential rational model of speculative financial bubbles. International Journal of Modern Physics C, 13(2), 171-187.
Jarrow, R. A., Protter, P., & Shimbo, K. (2010). Asset price bubbles in incomplete markets. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 20(2), 145-185.
Shiller, R. J. (2015). Irrational Exuberance (3rd ed.). Princeton, NJ: Princeton University Press. 61. Shleifer, A., & Vishny, R. W. (1997). The Limits of Arbitrage. Journal of Finance, 52(1), 35-55.
Shiller, R. J. (2005). Diverse views on asset bubbles. In W. Hunter, G. Kaufman & M. Pomerleano (eds.), Asset price bubbles: The implications for monetary, regulatory, and institutional policies (pp. 35-39). Cambridge, MA: MIT Press.
Shiller, R. J. (1988). Fashions, fads, and bubbles in financial markets. In J. C. Coffee, L. Lowenstein & S. Rose-Ackerman (eds.), Knights, Raiders and Targets – The Impact of the Hostile Takeover (pp. 56-68), New York et al.: Oxford University Press.
Phillips, P., Shi, S-P., & Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. International Economic Review, 56, 1043-1078.
Chaum, D. (1983). Blind signatures for untraceable payments. In D. Chaum, R. Rivest, & A. Sherman (Eds.), Advances in Cryptology. Proceedings from Crypto 82 (pp. 199-203). Boston, MA: Springer.
Phillips, R. C., & Gorse D. (2018a). Cryptocurrency price drivers: Wavelet coherence analysis revisited. PLoS ONE 13(4), 1-21.
Nakamoto, S. (2008). Bitcoin: a peer-to-peer electronic cash system. http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.221.9986
Lara, G. & Demmler, M. (2018). Social currencies and cryptocurrencies: characteristics, risks and comparative analysis. CIRIEC-España, Revista de Economía Pública, Social y Cooperativa, 93, 265-291.
Kindleberger, C., & Aliber, R. (2005). Manias, panics, and crashes: A history of financial crises (5th ed.). Hoboken, NJ: John Wiley & Sons, Inc.
Jensen, M. C. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2-3), 95-101.
Cheah, E., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32-36. https://doi.org/10.1016/j.econlet.2015.02.029
Brière, M., Oosterlinck, K., & Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with bitcoin. Journal of Asset Management, 16(6), 365-373. doi:10.1057/jam.2015.5
Chaim, P., & Laurini, M. P. (2019). Is Bitcoin a bubble? Physica A: Statistical Mechanics and its Applications, 517(C), 222-232. https://doi.org/10.1016/j.physa.2018.11.031
application/pdf
Abramova, S., & Böhme, R. (2016). Perceived benefit and risk as multidimensional determinants of Bitcoin use: A quantitative exploratory study. Proceedings from the Thirty Seventh International Conference on Information Systems. Dublin, UK: ICIS.
Camerer, C. (1989). Bubbles and Fads in Asset Prices. Journal of Economic Surveys, 3(1), 3-41. https://doi.org/10.1111/j.1467-6419.1989.tb00056.x
Michael Demmler, Amilcar Orlian Fernández Domínguez - 2021
https://creativecommons.org/licenses/by-nc-sa/4.0/
Inglés
https://revfinypolecon.ucatolica.edu.co/article/view/3435
text/xml
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Agosto, A., & Cafferata, A. (2020). Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. Risks, 8(2), 1-14. https://doi.org/10.3390/risks8020034
Journal article
Autoregressive model
Financial risk
Asset price bubble
Criptocurrency
Bitcoin
This paper examines historical Bitcoin price data together with the price data of a well-known and generally accepted historical asset price bubble (the 1720 South Sea Bubble) with the aim of identifying possible similarities. In order to find empirical evidence of speculative bubble tendencies, the article analyses distribution moments and autoregressive models of time series of both assets. Results show that historical daily prices of both assets—taking into account one year before and one year after the maximum price level—clearly show the two phases of bubble expansion and subsequent crash. Furthermore, various similarities between the South Sea Bubble and Bitcoin can be found in descriptive statistics, such as mean of return, standard deviation, and skewness. Statistical tests also show several explosive moments in the time series of the South Sea Company and Bitcoin returns, which implies that both assets exhibit more than one financial bubble.
Abreu, D., & Brunnermeier, M. K. (2002). Synchronization Risk and Delayed Arbitrage. Journal of Financial Economics, 66(2-3), 341-360. https://doi.org/10.1016/S0304-405X(02)00227-1
Publication
Akerlof, G. A., & Shiller, R. J. (2009). Animal Spirits – How Human Psychology Drives the Economy and Why It Matters for Global Capitalism. Princeton, NJ: Princeton University Press.
Bianchetti, M., Ricci, C., & Scaringi, M. (2018). Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses. SSRN. https://ssrn.com/abstract=3092427 or http://dx.doi.org/10.2139/ssrn.3092427
Bryans, D. (2014). Bitcoin and money laundering: Mining for an effective solution. Indiana Law Journal, 89(1), 441-472.
Brunnermeier, M. K., & Nagel, S. (2004). Hedge Funds and the Technology Bubble. Journal of Finance, 59(5), 2013-2040. https://doi.org/10.1111/j.1540-6261.2004.00690.x
Brunnermeier, M. K. (2009). Deciphering to Liquidity and Credit Crunch 2007-2008. Journal of Economic Perspectives, 23(1), 77-100. DOI: 10.1257/jep.23.1.77
Bitcoin and the South Sea Company: A comparative analysis
Bradbury, D. (2013). The problem with Bitcoin. Computer Fraud & Security, 2013(11), 5-8. https://doi.org/10.1016/S1361-3723(13)70101-5
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. https://doi.org/10.1016/j.frl.2016.09.025
Bonneau, J., Miller, A., Clark, J., Narayanan, A., Kroll, J., & Felten, E. (2015). SoK: Research perspectives and challenges for Bitcoin and cryptocurrencies. Proceedings from 2015 IEEE Computer Society Symposium on Security and Privacy. San Jose, CA: IEEE.
Blanchard, O., & Watson, M. (1982). Bubbles, Rational Expectations and Financial Markets. In Wachtel, P. Crisis in the economic and financial structure (pp. 295-316). Lexington, MA: D.C. Heathand Company.
Ali, R., Barrdear, J., Clews, R., & Southgate, J. (2014). Innovations in payment technologies and the emergence of digital currencies. Bank of England Quarterly Bulletin, (2014 Q3), 262-275.
Blanchard, O. J. (1979). Speculative Bubbles, Crashes and Rational Expectations. Economic Letters, 3(4), 387-389. https://doi.org/10.1016/0165-1765(79)90017-X
Baur, D., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar: A replication and extension. Finance Research Letters, 25, 103-110. https://doi.org/10.1016/j.frl.2017.10.012
Bech, M., & Garratt, R. (2017). Central bank cryptocurrencies. BIS Quarterly Review, 55-70. https://www.bis.org/publ/qtrpdf/r_qt1709f.pdf
Allen, F., & Gale, D. (2000). Bubbles and Crises. Economic Journal, 110(460), 236-255. https://doi.org/10.1111/1468-0297.00499
Allen, F., & Gorton, G. (1993). Churning Bubbles. Review of Economic Studies, 60(4), 813-836. https://doi.org/10.2307/2298101
Antonopoulos, A. (2017). Mastering Bitcoin: Programming the open blockchain (2nd ed.). Sebastopol, CA: O´Reilly Media Inc.
Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34. https://doi.org/10.1080/13504851.2014.916379
Barberis, N., & Thaler, R. (2002). A survey of behavioral finance. In G.M. Constantinides, M. Harris, & R. M. Stulz (eds.), Handbook of the Economics of Finance (pp. 1053-1128). Elsevier.
2011-7663
224
2021-01-01T00:00:00Z
2021-01-01T00:00:00Z
2248-6046
https://revfinypolecon.ucatolica.edu.co/article/download/3435/3809
https://revfinypolecon.ucatolica.edu.co/article/download/3435/3673
https://revfinypolecon.ucatolica.edu.co/article/download/3435/3878
2020-01-01
https://doi.org/10.14718/revfinanzpolitecon.v13.n1.2021.9
10.14718/revfinanzpolitecon.v13.n1.2021.9
197
institution UNIVERSIDAD CATÓLICA DE COLOMBIA
thumbnail https://nuevo.metarevistas.org/UNIVERSIDADCATOLICADECOLOMBIA/logo.png
country_str Colombia
collection Revista Finanzas y Política Económica
title Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
spellingShingle Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
Demmler, Michael
Fernández Domínguez, Amilcar Orlian
Bitcoin
Modelo autorregresivo
Riesgo financiero
Burbuja de precio de activo
Criptomoneda
Autoregressive model
Financial risk
Asset price bubble
Criptocurrency
Bitcoin
title_short Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_full Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_fullStr Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_full_unstemmed Bitcoin y la Compañía de los Mares del Sur: un análisis comparativo
title_sort bitcoin y la compañía de los mares del sur: un análisis comparativo
title_eng Bitcoin and the South Sea Company: A comparative analysis
description Este artículo analiza datos de precios históricos de Bitcoin junto con los de una burbuja histórica reconocida y generalmente aceptada (Burbuja de los Mares del Sur de 1720) con el objeto de identificar posibles similitudes. Para encontrar evidencia empírica de tendencias de burbuja especulativa, este artículo analiza los momentos de la distribución y modelos autorregresivos de series de tiempo de ambos activos. Los resultados muestran que los precios diarios históricos de ambos activos, considerando un año antes y después del precio máximo, muestran claramente las fases de expansión de una burbuja y el consecuente colapso. Asimismo, los dos activos muestran varias similitudes en la estadística descriptiva de sus retornos incluyendo la media, desviación estándar y el sesgo. Otras pruebas estadísticas muestran varios momentos de explosión en las series de tiempo de los retornos de ambos activos, lo que implica que estos exhibieron más de una burbuja financiera.
description_eng This paper examines historical Bitcoin price data together with the price data of a well-known and generally accepted historical asset price bubble (the 1720 South Sea Bubble) with the aim of identifying possible similarities. In order to find empirical evidence of speculative bubble tendencies, the article analyses distribution moments and autoregressive models of time series of both assets. Results show that historical daily prices of both assets—taking into account one year before and one year after the maximum price level—clearly show the two phases of bubble expansion and subsequent crash. Furthermore, various similarities between the South Sea Bubble and Bitcoin can be found in descriptive statistics, such as mean of return, standard deviation, and skewness. Statistical tests also show several explosive moments in the time series of the South Sea Company and Bitcoin returns, which implies that both assets exhibit more than one financial bubble.
author Demmler, Michael
Fernández Domínguez, Amilcar Orlian
author_facet Demmler, Michael
Fernández Domínguez, Amilcar Orlian
topicspa_str_mv Bitcoin
Modelo autorregresivo
Riesgo financiero
Burbuja de precio de activo
Criptomoneda
topic Bitcoin
Modelo autorregresivo
Riesgo financiero
Burbuja de precio de activo
Criptomoneda
Autoregressive model
Financial risk
Asset price bubble
Criptocurrency
Bitcoin
topic_facet Bitcoin
Modelo autorregresivo
Riesgo financiero
Burbuja de precio de activo
Criptomoneda
Autoregressive model
Financial risk
Asset price bubble
Criptocurrency
Bitcoin
citationvolume 13
citationissue 1
publisher Universidad Católica de Colombia
ispartofjournal Revista Finanzas y Política Económica
source https://revfinypolecon.ucatolica.edu.co/article/view/3435
language Inglés
format Article
rights http://purl.org/coar/access_right/c_abf2
info:eu-repo/semantics/openAccess
Michael Demmler, Amilcar Orlian Fernández Domínguez - 2021
https://creativecommons.org/licenses/by-nc-sa/4.0/
references_eng De Filippi, P. (2014). Bitcoin: a regulatory nightmare to a libertarian dream. Internet Policy Review, 3(2), Retrieved from: https://policyreview.info/articles/analysis/bitcoin-regulatory-nightmare-libertarian-dream
Fama, E. (1991). Efficient capital markets: II. Journal of Finance, 46(5), 1575-1617.
Garcia, D., Tessone C. J., Mavrodiev, P., & Perony, N. (2014). The digital traces of bubbles: feedback cycles between socioeconomic signals in the Bitcoin economy. Journal of the Royal Society – Interface, 11, 1-8.
Garber, P. M. (1990). Famous first bubbles. Journal of Economic Perspectives, 4(2), 35-54.
Garber, P. M. (1989). Tulipmania. Journal of Political Economy, 98(3), 535-560.
Fry, J., & Cheah, J. E. T. (2016). Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis, 47(C), 343-352. https://doi.org/10.1016/j.irfa.2016.02.008
Fry, J. (2018). Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? Economics Letters, 171(C), 225-229. https://doi.org/10.1016/j.econlet.2018.08.008
Froot, K. A., & Obstfeld, M. (1991). Intrinsic Bubbles – The Case of Stock Prices. American Economic Review, 81(5), 1189-1214.
Frehen, R., Goetzmann, W., & Rouwenhorst, G. (2009). New evidence on the first financial bubble. Journal of Financial Economics, 108(3), 585-607. https://doi.org/10.1016/j.jfineco.2012.12.008
Chen, C. Y., & Hafner, C. M. (2019). Sentiment-Induced Bubbles in the Cryptocurrency Market. Journal of Risk and Financial Management, 12(2), 1-12. https://doi.org/10.3390/jrfm12020053
European State Finance Database (2020). [Graph of stock prices reported by John Castaing, the course of the exchange, from January 1698 to December 1753]. John Castaing’s Course of exchange. http://www.esfdb.org/table.aspx?resourceid=11347
Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417.
Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35, 101607. https://doi.org/10.1016/j.frl.2020.101607
European Parliament (2016). Report on virtual currencies 2016/2007(INI). http://www.europarl.europa.eu/doceo/document/A-8-2016-0168_EN.pdf
Eom, C. Kaizoji, T., Kang, S., & Pichl, L. (2019). Bitcoin and investor sentiment: Statistical characteristics and predictability. Physica A: Statistical Mechanics and its Applications, 514(15), 511-521. https://doi.org/10.1016/j.physa.2018.09.063
Dwyer, G. (2015). The economics of Bitcoin and similar private digital currencies. Journal of Financial Stability, 17, 81-91. https://doi.org/10.1016/j.jfs.2014.11.006
Demmler, M. (2017). Irrationality of asset price bubbles – human decision-making in the course of financial bubbles. México: Pearson Educación.
Godsiff, P. (2015). Bitcoin: Bubble or Blockchain. In G. Jezic, R. Howlett, & L. Jain (eds), Agent and Multi-Agent Systems: Technologies and Applications. Smart Innovation, Systems and Technologies (pp. 191-203), vol 38. Springer, Cham.
CoinDesk (2020a). Bitcoin (USD) Price. https://www.coindesk.com/price/bitcoin
CoinDesk (2020b). CoinDesk API. https://www.coindesk.com/coindesk-api
CoinMarketCap (2020). Top 100 Cryptocurrencies by Market Capitalization. https://coinmarketcap.com/
Geuder, J., Kinateder, H., & Wagner, N. F. (2019). Cryptocurrencies as financial bubbles: The case of Bitcoin. Finance Research Letters, 31(C). https://doi.org/10.1016/j.frl.2018.11.011
Phillips, R. C., & Gorse, D. (2018b). Predicting cryptocurrency price bubbles using social media data and epidemic modelling. In Proceedings of the 2017 IEEE Symposium Series on Computational Intelligence (SSCI). (pp. 394-400). IEEE: Honolulu, HI, USA.
Grinberg, R. (2011). Bitcoin: An innovative alternative digital currency. Hastings Science and Technology Law Journal, 4, 159-208.
Weidmann, J. (2018, February 14). Opening speech for the Fourth Cash Symposium of the Deutsche Bundesbank, Frankfurt am Main. https://www.bundesbank.de/en/press/speeches/opening-speech-667594#tar-2
Sornette, D., & Andersen, J. V. (2002). A nonlinear super-exponential rational model of speculative financial bubbles. International Journal of Modern Physics C, 13(2), 171-187.
Jarrow, R. A., Protter, P., & Shimbo, K. (2010). Asset price bubbles in incomplete markets. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 20(2), 145-185.
Shiller, R. J. (2015). Irrational Exuberance (3rd ed.). Princeton, NJ: Princeton University Press. 61. Shleifer, A., & Vishny, R. W. (1997). The Limits of Arbitrage. Journal of Finance, 52(1), 35-55.
Shiller, R. J. (2005). Diverse views on asset bubbles. In W. Hunter, G. Kaufman & M. Pomerleano (eds.), Asset price bubbles: The implications for monetary, regulatory, and institutional policies (pp. 35-39). Cambridge, MA: MIT Press.
Shiller, R. J. (1988). Fashions, fads, and bubbles in financial markets. In J. C. Coffee, L. Lowenstein & S. Rose-Ackerman (eds.), Knights, Raiders and Targets – The Impact of the Hostile Takeover (pp. 56-68), New York et al.: Oxford University Press.
Phillips, P., Shi, S-P., & Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. International Economic Review, 56, 1043-1078.
Chaum, D. (1983). Blind signatures for untraceable payments. In D. Chaum, R. Rivest, & A. Sherman (Eds.), Advances in Cryptology. Proceedings from Crypto 82 (pp. 199-203). Boston, MA: Springer.
Phillips, R. C., & Gorse D. (2018a). Cryptocurrency price drivers: Wavelet coherence analysis revisited. PLoS ONE 13(4), 1-21.
Nakamoto, S. (2008). Bitcoin: a peer-to-peer electronic cash system. http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.221.9986
Lara, G. & Demmler, M. (2018). Social currencies and cryptocurrencies: characteristics, risks and comparative analysis. CIRIEC-España, Revista de Economía Pública, Social y Cooperativa, 93, 265-291.
Kindleberger, C., & Aliber, R. (2005). Manias, panics, and crashes: A history of financial crises (5th ed.). Hoboken, NJ: John Wiley & Sons, Inc.
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